Re: [Gretl-users] R squared in a random-effects model
On Sat, 20 Mar 2010, Bruno Thiago Tomio wrote:
Is it possible to calculate the R quared (and adjusted too) with
gretl for a
random-effects model? If yes, please, how?
You can calculate R-squared in whatever manner you think might be
appropriate for a random-effects model. There's no "correct"
value in this case, but you could report the squared correlation
between the dependent variable and the fitted values ($yhat), or
do something with the sum of squared residuals ($ess).
open greene14_1.gdt
logs C Q PF
panel l_C 0 l_Q l_PF LF --random
R2 = corr(l_C, $yhat)^2
R2 = 1 - $ess/sst(l_C)
Allin Cottrell